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Keywords: Variance Swap
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Journal Articles
The Variance Swaps based on KOSPI200 Index and the Term Structure of Variance Risk Premium
Open Access
Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2013) 21 (4): 435–463.
Published: 30 November 2013
...Young Ho Eom; Woon Wook Jang This study examines whether the variance risk is a priced risk factor in Korea using the over-the-counter variance swap quotes and realized variance data. We also study the term structure of variance risk premium. The empirical results show that the model with 2...
